Effect of risk preference on the valuation of time charter contracts with extension options

ABSTRACT

The literature on valuation of time charter contracts and real options in shipping generally relies on the complete markets hypothesis and the risk-neutrality of agents. However, these assumptions fail completely in some shipping market segments. This study proposes a numerical approach—based on discounting the certainty equivalent payoff at the risk-free rate—which incorporates the agent’s risk preferences through an exponential utility function. The method comprises an iterative Monte Carlo nested simulation with the real probability measure. This method is applied to a case of Suezmax tankers. The stochastic evolution of the time charter rates is modelled as a geometric mean-reverting process. The case study supports the applicability of the proposed method and evidences that the effect of risk preference may be significant, mainly for more risk-averse agents. Although the method involves intensive computation, it has the benefits of theoretical ease and flexibility, which could encourage utilisation by practitioners.     

Towards improved port capacity investment decisions under uncertainty: a real options approach

ABSTRACT

Port activity plays an important role in facilitating international trade. Sufficient capacity is indispensable for a port to attract flows to a region and retain them. The capacity decision is the result of a trade-off between investment and waiting costs. Traditional methods to value expansion projects do not deal adequately with managerial flexibility in the face of uncertainty from different sources in the complex port environment. In this paper, real options (RO) models are identified as an alternative method to making project valuations and investment decisions, as they attribute the correct value to managerial flexibility under uncertainty. In order to be able to build and use such RO models for port capacity investment decisions, the sources and implications of uncertainty in the port and the different RO model specifications need to be understood. To this end, both the literature about uncertainty in the port context and the literature about real options models are reviewed in order to provide researchers who want to build their own decision-making models, with the necessary knowledge of both fields. The review makes clear that the complex interactions in and competition between the logistics chains and their actors coming together in ports have significant impacts on port capacity. Uncertainty is also caused by uncertain international trade flows and changes in legislation following new technologies and environmental impacts. An analysis of the components of some general RO models shows how the options of flexible output, investment size and timing are valued by RO models in a setting with demand uncertainty. Moreover, the review presents researchers with insights in how to deal with cooperative and competitive interactions in the chain, time to build, cyclical markets and legislation changes. It also shows how to value the expansion and the phased investment options. The new insights resulting from this review are subsequently combined in a framework that serves as a guideline to build RO models for port capacity investments. Finally, an exemplifying application of the framework is used to build an actual port capacity investment decision model.     

排气制动对增压器涡轮轴向载荷影响的研究

本文中针对同时采用排气制动和涡轮增压的车辆,分析其在排气制动工况下增压器的工作状态。通过排气制动与增压器联动试验得出数值计算所需的边界条件,并据此计算涡轮转子在稳态工况和过渡工况的轴向受力。结果表明,在排气制动工况下,增压器涡轮转子的轴向受力反向,且排气背压越高,涡轮转子所受轴向力越大;在工况切换过程中,涡轮转子所受突变载荷较大,最高值达221N,工况切换时间越短、背压越高,轴向冲击载荷越大。因此确定合理的排气背压和工况切换策略可有效降低涡轮转子所承受的轴向载荷。     

城市过量短距离小汽车出行研究

以北京市为例,挑选具有代表性的两类居民小区,对小区出行环境和居民出行行为展开调研.首先,利用GPS和测距仪等设备收集出行环境数据,结合地理信息系统,对小区内部和扩展区域的机动车和非机动车环境进行分析,指出了两类小区出行环境的特点;然后,利用调查问卷收集居民出行行为数据,在分析不同小区的短距离出行特征和同类居民的出行行为后,指出出行环境对出行行为具有显著的影响.最后,给出了不同小区居民偏好小汽车短距离出行的影响因素,以及在不同出行目的下,居民出行方式的转换意愿.研究成果有助于制定合理引导小汽车出行的交通需求管理对策.     

基于OrCAD的可控硅开关功放的仿真研究

介绍了一种特殊的大功率可控硅开关功率放大器,分析了其电路在不同工作频率下的3种工作状态,并就自然换流状态建立了其等效电路模型,基于OrCAD环境下设计了低阻高效的循环模拟开关,并利用它仿真了自然换流状态下的等效电路模型,这种仿真方法能计算出功率放大器在任意点的电流电压值.且仿真数据能较真实地反映系统在任何时刻的工作状况.     

基于实物期权与净现值法的飞机租赁决策研究

目前,飞机租赁是我国机队引进飞机的主要方式.航空公司结合自身情况对飞机租赁方式进行选择,对航空公司未来发展起到了至关重要的作用.在传统净现值法的基础上,引入多级实物期权法,分别对飞机经营性租赁与飞机融资性租赁进行分析,从而做出最优决策.该方法考虑了项目的不确定性,分析管理层在中途修正战略的价值,弥补了传统净现值法不考虑管理决策层采取柔性投资策略价值的缺陷.     

基于混杂模糊切换的快速路区域协调控制研究

基于对城市快速路出入口匝道及辅路交叉口的交通流特性分析,利用混杂自动机原理建立了交叉口混杂切换系统模型,并结合出入口匝道的交通流密度来协调交叉口的信号控制.提出了应用模糊逻辑的方法来优化交叉口的相位切换顺序,并用Paramics微观交通仿真软件进行了仿真.结果表明该算法能一定程度上提高车辆的平均速度,是解决城市交通区域拥挤的一种有效方法.     

船用开关电源的研究与设计

针对船舶环境,对元器件进行严格选型,专门设计了此款开关电源。测试结果表明,它的优势包括输出电压的调节范围大、干扰纹波小以及电能变换效率高。此外,当输出电流过大时,能够自动把输出电压拉低,自动进行过流保护。当过流状态消失时,电源能够自动恢复到正常供电状态。     

基于条件生成对抗网络的扇区复杂度评估

扇区复杂度作为管制员工作负荷和动态空域配置的重要参考依据，需要事先准确地对其 进行评估。本文针对有监督复杂度数据集存在的小样本问题，提出基于条件生成对抗网络的扇 区复杂度评估框架。首先，构建交通流量、航空器性能和潜在冲突这3类复杂度指标，并结合主观 复杂度等级得到标定样本；其次，利用条件生成对抗网络设计有标记样本生成算法，获得增广数 据集；最后，分别采用逻辑回归、支持向量机和随机森林算法建立复杂度评估模型。以中南区域 扇区为例，从定性和定量的视角验证生成样本的有效性，并在多种训练集配置下对比各模型评估 结果。研究结果表明：条件生成对抗网络在200次迭代后逐步收敛至稳定；生成样本与真实样本 的绝大多数指标在均值上的相对误差小于5%，在标准差上的相对误差大于5%；在多分类评价指 标下，增广数据集对3种模型整体评估精度分别提升11.77%、11.04%和8.34%。本文提出的评估 框架可以在有限数据条件下提高样本多样性，是解决扇区复杂度评估问题的一种有效方法。     

国际航运投资决策应用实物期权方法的分析

从国际航运的投资特点出发,通过实物期权方法与现行方法的比较,分析了国际航运投资决策应用实物期权方法的必要性与可行性,初步提出了国际航运投资项目存在的八种灵活性及其相应的实物期权。